Non-Parametric VAR Techniques: Myths and Realities

Economic Notes, 30, July, 167-181

Posted: 28 Aug 2012

See all articles by Kostas Giannopoulos

Kostas Giannopoulos

Neapolis University, Pafos

Giovanni Barone-Adesi

University of Lugano; Swiss Finance Institute

Date Written: July 1, 2001

Abstract

), Economic Notes, 30, July, 167-181

Keywords: market risk, non parametric, filtered historical simulation

JEL Classification: G19

Suggested Citation

Giannopoulos, Kostas and Barone-Adesi, Giovanni, Non-Parametric VAR Techniques: Myths and Realities (July 1, 2001). Economic Notes, 30, July, 167-181, Available at SSRN: https://ssrn.com/abstract=2136952

Kostas Giannopoulos (Contact Author)

Neapolis University, Pafos ( email )

Giovanni Barone-Adesi

University of Lugano ( email )

Via Buffi 13
CH-6904 Lugano
Switzerland
+41 58 666 4671 (Phone)
+41 58 666 46 47 (Fax)

Swiss Finance Institute

c/o University of Geneva
40 Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

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